MBEQ RUB[Strategy] vs [Benchmark] MRBCTR RUB

10 Feb, 2022 - 18 Apr, 2024

Key Performance Metrics

Metric	Strategy	Benchmark
Risk-Free Rate	700.0%	700.0%
Time in Market	27.0%	100.0%
Cumulative Return	-12.99%	9.72%
CAGR﹪	-6.16%	4.33%
Sharpe	-6.91	-5.53
Prob. Sharpe Ratio	0.0%	0.0%
Smart Sharpe	-6.82	-5.46
Sortino	-7.38	-5.82
Smart Sortino	-7.28	-5.75
Sortino/√2	-5.22	-4.12
Smart Sortino/√2	-5.15	-4.06
Omega	0.22	0.22
Max Drawdown	-44.94%	-46.58%
Longest DD Days	794	570
Volatility (ann.)	30.47%	35.66%
R^2	0.0	0.0
Information Ratio	-0.02	-0.02
Calmar	-0.14	0.09
Skew	-1.19	-5.14
Kurtosis	27.69	102.65
Expected Daily	-0.03%	0.02%
Expected Monthly	-0.51%	0.34%
Expected Yearly	-4.53%	3.14%
Kelly Criterion	-1.31%	6.83%
Risk of Ruin	0.0%	0.0%
Daily Value-at-Risk	-3.16%	-3.65%
Expected Shortfall (cVaR)	-3.16%	-3.65%
Max Consecutive Wins	4	9
Max Consecutive Losses	5	6
Gain/Pain Ratio	-0.02	0.09
Gain/Pain (1M)	-0.07	0.32
Payoff Ratio	0.97	0.89
Profit Factor	0.98	1.09
Common Sense Ratio	1.13	1.08
CPC Index	0.48	0.55
Tail Ratio	1.16	0.99
Outlier Win Ratio	11.36	4.55
Outlier Loss Ratio	2.2	4.91
MTD	0.0%	4.42%
3M	0.0%	8.96%
6M	0.0%	9.54%
YTD	0.0%	13.14%
1Y	13.38%	45.52%
3Y (ann.)	-6.16%	4.33%
5Y (ann.)	-6.16%	4.33%
10Y (ann.)	-6.16%	4.33%
All-time (ann.)	-6.16%	4.33%
Best Day	15.03%	20.14%
Worst Day	-17.74%	-33.2%
Best Month	17.42%	14.82%
Worst Month	-29.29%	-32.26%
Best Year	29.92%	51.86%
Worst Year	-33.02%	-36.14%
Avg. Drawdown	-44.94%	-7.93%
Avg. Drawdown Days	794	85
Recovery Factor	-0.29	0.21
Ulcer Index	0.27	0.27
Serenity Index	-1.23	-1.22
Avg. Up Month	7.83%	7.11%
Avg. Down Month	-11.03%	-14.53%
Win Days	50.0%	56.02%
Win Month	46.67%	70.37%
Win Quarter	50.0%	70.0%
Win Year	50.0%	66.67%
Beta	0.01	-
Alpha	-0.02	-
Correlation	0.84%	-
Treynor Ratio	-99029.1%	-